| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP12024
|
| DP12024 Systematic Monetary Policy and the Macroeconomic Effects of Shifts in Loan-to-Value Ratios |
| Ruediger Bachmann
|
| 发表日期 | 2017-05-06
|
| 出版年 | 2017
|
| 语种 | 英语
|
| 摘要 | What are the macroeconomic consequences of changing aggregate lending
standards in residential mortgage markets, as measured by loan-to-value
(LTV) ratios? In a structural VAR, GDP and business investment increase following
an expansionary LTV shock. Residential investment, by contrast, falls,
a result that depends on the systematic reaction of monetary policy. We show
that, historically, the Fed tended to respond directly to expansionary LTV
shocks by raising the monetary policy instrument, and, as a result, mortgage
rates increase and residential investment declines. The monetary policy reaction
function in the US appears to include lending standards in residential
markets, a finding we confirm in Taylor rule estimations. Without the endogenous
monetary policy reaction residential investment increases. House
prices and household (mortgage) debt behave in a similar way. This suggests
that an exogenous loosening of LTV ratios is unlikely to explain booms in
residential investment and house prices, or run ups in household leverage, at
least in times of conventional monetary policy. |
| 主题 | Monetary Economics and Fluctuations
|
| 关键词 | Loan-to-value ratios
monetary policy
Residential investment
Structural var
Cholesky identification
Taylor rules
|
| URL | https://cepr.org/publications/dp12024
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540836
|
推荐引用方式
GB/T 7714 |
Ruediger Bachmann. DP12024 Systematic Monetary Policy and the Macroeconomic Effects of Shifts in Loan-to-Value Ratios. 2017.
|
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